1 citations · 1 across the 5 of their papers we have counts for
6 papers
Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots
Mostafa Shabani, Martin Magris, George Tzagkarakis +2
Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchroniz…
Multi-head Temporal Attention-Augmented Bilinear Network for Financial time series prediction
Mostafa Shabani, Dat Thanh Tran, Martin Magris +2
Financial time-series forecasting is one of the most challenging domains in the field of time-series analysis. This is mostly due to the highly non-stationary and noisy nature of f…
On the simulation of the Hawkes process via Lambert-W functions
Martin Magris
Several methods have been developed for the simulation of the Hawkes process. The oldest approach is the inverse sampling transform (ITS) suggested in \citep{ozaki1979maximum}, but…
A Vine-copula extension for the HAR model
Martin Magris
The heterogeneous autoregressive (HAR) model is revised by modeling the joint distribution of the four partial-volatility terms therein involved. Namely, today's, yesterday's, last…
Option market (in)efficiency and implied volatility dynamics after return jumps
Juho Kanniainen, Martin Magris
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underl…
Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis
Martin Magris, Jiyeong Kim, Esa Rasanen +1
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high freque…